<PAGE> 1
- --------------------------------------------------------------------------------
Intermediate Tax Free Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
ARIZONA - 7.22%
$ 440,000 Arizona State Transportation Board Excise
Tax Revenue, Maricopa County, 5.60%,
7/1/03.................................... $ 462,004
1,080,000 Phoenix Arizona Series C, 6.375%, 7/1/02... 1,184,317
---------
1,646,321
---------
CALIFORNIA - 9.05%
1,000,000 California State, 6.20%, 11/1/02........... 1,082,040
1,000,000 California State Public Works Board Lease
Revenue, 5.20%, 12/1/09................... 980,480
---------
2,062,520
---------
CONNECTICUT - 3.63%
500,000 Connecticut State Special Tax Obligatory
Revenue, Transportation Infrastructure
Series B, 5.90%, 09/1/05.................. 533,965
275,000 Connecticut State Special Tax Obligatory
Revenue, Transportation Series A, 6.75%,
2/15/99................................... 293,744
---------
827,709
---------
DELAWARE - 2.45%
520,000 Delaware Transportation Authority, 6.10%,
7/1/02.................................... 557,419
---------
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
FLORIDA - 3.34%
$ 550,000 Dade County Florida Aviation Revenue
Reference Series E, 5.40%, 10/01/07....... $ 561,105
200,000 Pinellas County Florida Health Facilities
Authority Revenue, Variable Rate Daily
Demand Note, 12/1/15...................... 200,000
---------
761,105
---------
ILLINOIS - 4.58%
1,000,000 Illinois State Sales Tax Series Q, 6.00%,
6/15/12................................... 1,043,780
---------
INDIANA - 1.43%
300,000 Indiana University Revenue, Student Fees
Series H, 6.60%, 8/1/01................... 326,910
---------
MASSACHUSETTS - 4.37%
1,000,000 Massachusetts Municipal Wholesale Electric
Company Power Supply System Revenue Series
A, 5.10%, 07/1/06......................... 996,370
---------
MICHIGAN - 3.26%
500,000 Michigan State Building Authority Series I,
6.00%, 10/1/02+........................... 535,925
200,000 Michigan State Housing Development
Authority Single Family Mortgage Revenue
Series B, 6.30%, 12/1/03.................. 207,480
---------
743,405
---------
</TABLE>
See Notes to Financial Statements on Pages 48 - 50
32
<PAGE> 2
- --------------------------------------------------------------------------------
Intermediate Tax Free Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
NEBRASKA - 1.36%
$ 300,000 Nebraska Public Power District Revenue,
5.70%, 1/1/05............................. $ 311,163
---------
NEVADA - 2.31%
500,000 Clark County, Nevada, 5.70%, 7/1/03+....... 525,850
---------
NEW JERSEY - 1.03%
225,000 New Jersey State Turnpike Authority Series
A, 6.00%, 1/1/05.......................... 233,802
---------
NEW YORK - 22.88%
100,000 New York City, New York G.O., Series B,
Variable Rate Daily Demand Note,
10/1/20................................... 100,000
100,000 New York City, New York G.O., Series B,
Variable Rate Daily Demand Note,
10/1/22................................... 100,000
100,000 New York City, New York G.O., Subseries A-
4, Variable Rate Daily Demand Note,
8/1/22.................................... 100,000
200,000 New York City, New York G.O., Subseries A-
8, Variable Rate Daily Demand Note,
8/1/18.................................... 200,000
200,000 New York City, New York G.O., Subseries B-
2, Variable Rate Daily Demand Note,
8/15/21................................... 200,000
1,000,000 New York State Environmental Facility
Corporation Pollution Control Revenue,
5.75%, 6/15/10............................ 1,025,830
1,000,000 New York State G.O., Series B, 5.50%,
08/15/06.................................. 1,022,550
1,000,000 Oyster Bay New York, 5.00%, 02/15/09....... 976,300
600,000 Suffolk County New York Industrial
Development Agency, Revenue, Variable Rate
Daily Demand Note, 1/1/98................. 600,000
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
$ 900,000 Triborough Bridge and Tunnel Authority New
York Revenue General Purpose Series A,
5.00%, 1/1/07............................. $ 889,254
---------
5,213,934
---------
OHIO - 6.98%
500,000 Cuyahoga County Ohio Hospital Revenue,
University Hospital Cleveland, Variable
Rate Daily Demand Note, 1/1/16............ 500,000
1,000,000 Ohio State Building Authority Series A,
6.50%, 10/1/01............................ 1,090,220
---------
1,590,220
---------
TEXAS - 6.94%
175,000 Garland, Texas Independent School District,
Series A, 6.40%, 2/15/98.................. 178,868
500,000 Texas State G.O. Series A, 6.00%,
10/01/06.................................. 539,415
300,000 Texas Water Reserve Finance Authority
Revenue, 7.30%, 8/15/04................... 319,338
500,000 University of Texas, 6.50%, 8/15/01........ 544,400
---------
1,582,021
---------
WISCONSIN - 5.14%
1,000,000 Wisconsin State Series 2, 5.125%, 11/1/11.. 960,420
200,000 Wisconsin State Transportation Revenue
Series A, 6.00%, 7/1/00................... 211,208
---------
1,171,628
---------
TOTAL INVESTMENTS
(Cost $18,847,739) - 85.97%.............................. 19,594,157
Other Assets in Excess of Liabilities - 14.03%............ 3,196,609
----------
NET ASSETS - 100.00%...................................... $ 22,790,766
==========
</TABLE>
- ------------------
+ Insured by American Municipal Bond Assurance Corporation ("AMBAC")
See Notes to Financial Statements on Pages 48 - 50
33
<PAGE> 3
- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL HIGH LATIN
CAPITAL YIELD INTERMEDIATE INTERNATIONAL AMERICAN
APPRECIATION SECURITIES TAX FREE EQUITY EQUITY
------------ ----------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at Value+.......................... $197,485,269 $19,229,290 $ 19,594,157 $ 121,337,441 $14,699,142
Cash++.......................................... -- 454,149 38,835 39,147 26,582
Receivable for Securities Sold.................. 3,669,701 1,545,903 2,850,349 1,058,112 586,302
Dividends and Interest Receivable............... 6,319 409,534 310,409 348,797 37,362
Receivable for Foreign Taxes Withheld........... -- -- -- 100,262 --
Net Unrealized Appreciation on Forward Currency
Contracts...................................... -- -- -- 24,156 --
Prepaid Expenses and Other...................... 738 113 110 409 67
Due from Bankers Trust.......................... -- -- 14,485 -- 1,415
------------ ----------- ----------- ------------ -----------
Total Assets....................................... 201,162,027 21,638,989 22,808,345 122,908,324 15,350,870
------------ ----------- ----------- ------------ -----------
LIABILITIES
Due to Bankers Trust............................ 86,252 14,905 -- 53,414 42,449
Due to Custodian................................ 3,952 913,650 -- -- --
Payable for Securities Purchased................ 11,628,216 899,509 -- 4,558,261 322,698
Net Unrealized Depreciation on Forward Currency
Contracts...................................... -- -- -- -- --
Accrued Expenses and Other...................... 16,693 14,874 17,579 15,513 24,577
------------ ----------- ----------- ------------ -----------
Total Liabilities.................................. 11,735,113 1,842,938 17,579 4,627,188 389,724
------------ ----------- ----------- ------------ -----------
NET ASSETS......................................... $189,426,914 $19,796,051 $ 22,790,766 $ 118,281,136 $14,961,146
============ =========== =========== ============ ===========
COMPOSITION OF NET ASSETS
Paid-in Capital................................. $172,833,659 $18,670,897 $ 22,044,349 $ 102,905,836 $15,358,688
Net Unrealized Appreciation (Depreciation) on
Investments, Foreign Currencies and Forward
Currency Contracts............................. 16,593,255 1,125,154 746,417 15,375,300 (397,542)
------------ ----------- ----------- ------------ -----------
NET ASSETS, MARCH 31, 1996......................... $189,426,914 $19,796,051 $ 22,790,766 $ 118,281,136 $14,961,146
============ =========== =========== ============ ===========
<CAPTION>
PACIFIC
BASIN
EQUITY SMALL CAP
------------ ------------
<S> <C> <C>
ASSETS
Investments, at Value+.......................... $ 26,791,964 $206,964,055
Cash++.......................................... 1,328,888 626,749
Receivable for Securities Sold.................. 659,540 1,505,247
Dividends and Interest Receivable............... 29,678 713
Receivable for Foreign Taxes Withheld........... -- --
Net Unrealized Appreciation on Forward Currency
Contracts...................................... -- --
Prepaid Expenses and Other...................... 121 606
Due from Bankers Trust.......................... -- --
----------- -----------
Total Assets....................................... 28,810,191 209,097,370
----------- -----------
LIABILITIES
Due to Bankers Trust............................ 22,425 119,227
Due to Custodian................................ -- --
Payable for Securities Purchased................ 306,628 2,666,864
Net Unrealized Depreciation on Forward Currency
Contracts...................................... 38,665 --
Accrued Expenses and Other...................... 25,810 14,835
----------- -----------
Total Liabilities.................................. 393,528 2,800,926
----------- -----------
NET ASSETS......................................... $ 28,416,663 $206,296,444
=========== ===========
COMPOSITION OF NET ASSETS
Paid-in Capital................................. $ 26,858,121 $162,346,209
Net Unrealized Appreciation (Depreciation) on
Investments, Foreign Currencies and Forward
Currency Contracts............................. 1,558,542 43,950,235
----------- -----------
NET ASSETS, MARCH 31, 1996......................... $ 28,416,663 $206,296,444
=========== ===========
</TABLE>
- ------------------
+ The cost of Capital Appreciation Portfolio for the period ended March 31,
1996 was $180,892,014, Global High Yield Securities Portfolio $18,098,181,
Intermediate Tax Free Portfolio $18,847,740, International Equity Portfolio
$105,942,091, Latin American Equity Portfolio $15,092,320, Pacific Basin
Equity Portfolio $25,194,870 and Small Cap Portfolio $163,013,820.
++ Includes foreign cash of $454,149, $35,462, $24,056 and $766,809 for Global
High Yield Securities, International Equity, Latin American Equity and
Pacific Basin Equity with a cost of $460,102, $74,005, $28,362 and $767,082,
respectively.
See Notes to Financial Statements on Pages 48 - 50
42
<PAGE> 4
- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF OPERATIONS For the period ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL
CAPITAL HIGH YIELD INTERMEDIATE INTERNATIONAL
APPRECIATION SECURITIES TAX FREE EQUITY
------------ ---------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends+................................................ $ 100,098 $ 15,224 -- $ 689,466
Interest.................................................. 407,356 834,345 $ 290,590 141,259
------------ ---------- --------- ----------
TOTAL INVESTMENT INCOME...................................... 507,454 849,569 290,590 830,725
------------ ---------- --------- ----------
EXPENSES
Advisory.................................................. 546,623 81,613 22,501 302,602
Administration and Services............................... 84,096 20,403 2,813 69,831
Professional.............................................. 19,062 7,075 5,733 13,709
Trustees.................................................. 1,532 1,446 796 1,560
Transfer Tax.............................................. -- -- -- 2,322
Shareholders Reports...................................... 925 -- 63 650
Miscellaneous............................................. 735 5,860 -- 726
------------ ---------- --------- ----------
Total Expenses............................................ 652,973 116,397 31,906 391,400
Less: Expenses Absorbed by Bankers Trust.................. (148,398) (39,885) (6,593) (88,798)
------------ ---------- --------- ----------
Net Expenses........................................... 504,575 76,512 25,313 302,602
------------ ---------- --------- ----------
NET INVESTMENT INCOME (LOSS)................................. 2,879 773,057 265,277 528,123
------------ ---------- --------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions.................................. 16,902,854 360,334 263,100 1,390,252
Foreign Currency Transactions............................ -- (9,321) -- 690,674
Net Change in Unrealized Appreciation (Depreciation) of:
Investments.............................................. (16,152,731) 1,101,125 (717,956) 3,530,486
Foreign Currencies and Forward Currency Contracts........ -- (5,964) -- 77,506
------------ ---------- --------- ----------
NET GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND
FORWARD CURRENCY CONTRACTS.................................. 750,123 1,446,174 (454,856) 5,688,918
------------ ---------- --------- ----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........ $ 753,002 $2,219,231 $ (189,579) $ 6,217,041
============ ========== ========= ==========
<CAPTION>
LATIN
AMERICAN PACIFIC
EQUITY BASIN EQUITY SMALL CAP
------------- ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends+................................................ $ 109,693 $ 93,734 $ 19,858
Interest.................................................. 46,167 4,860 455,753
-------- ---------- -----------
TOTAL INVESTMENT INCOME...................................... 155,860 98,594 475,611
-------- ---------- -----------
EXPENSES
Advisory.................................................. 62,306 100,363 511,914
Administration and Services............................... 12,461 33,454 78,756
Professional.............................................. 12,409 15,367 14,729
Trustees.................................................. 1,585 1,560 1,532
Transfer Tax.............................................. 427 6,804 --
Shareholders Reports...................................... 650 650 500
Miscellaneous............................................. -- 887 693
-------- ---------- -----------
Total Expenses............................................ 89,838 159,085 608,124
Less: Expenses Absorbed by Bankers Trust.................. (27,532) (25,268) (135,587)
-------- ---------- -----------
Net Expenses........................................... 62,306 133,817 472,537
-------- ---------- -----------
NET INVESTMENT INCOME (LOSS)................................. 93,554 (35,223) 3,074
-------- ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions.................................. 542,302 835,679 2,392,080
Foreign Currency Transactions............................ (21,948) (129,447) --
Net Change in Unrealized Appreciation (Depreciation) of:
Investments.............................................. 2,298 1,075,673 21,647,288
Foreign Currencies and Forward Currency Contracts........ (3,696) 78,159 --
-------- ---------- -----------
NET GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND
FORWARD CURRENCY CONTRACTS.................................. 518,956 1,860,064 24,039,368
-------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........ $ 612,510 $ 1,824,841 $24,042,442
======== ========== ===========
</TABLE>
- ------------------
+ Net of foreign withholding tax of $1,142 Capital Appreciation Portfolio,
$78,541 International Equity Portfolio, $9,309 Latin American Equity Portfolio
and $10,050 Pacific Basin Equity Portfolio.
See Notes to Financial Statements on Pages 48 - 50
43
<PAGE> 5
- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL APPRECIATION GLOBAL HIGH YIELD SECURITIES
------------------------------------- -------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED
MARCH 31, 1996 JANUARY 1, 1995 TO MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------ -------------- ------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income (Loss).................. $ 2,879 $ 10,500 $ 773,057 $ 1,706,048
Net Realized Gain (Loss) from Investments
and Foreign Currency Transactions........ 16,902,854 11,774,764 351,013 (516,419)
Net Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and
Forward Currency Contracts............... (16,152,731) 23,909,639 1,095,161 (3,411)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Operations................................... 753,002 35,694,903 2,219,231 1,186,218
-------------- ------------------ -------------- ------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............. 64,319,770 63,887,608 7,086,285 18,275,555
Value of Capital Withdrawn................. (25,533,747) (23,328,952) (12,512,930) (11,187,306)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Capital Transactions......................... 38,786,023 40,558,656 (5,426,645) 7,088,249
-------------- ------------------ -------------- ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 39,539,025 76,253,559 (3,207,414) 8,274,467
NET ASSETS
Beginning of Period........................... 149,887,889 73,634,330 23,003,465 14,728,998
-------------- ------------------ -------------- ------------------
End of Period................................. $189,426,914 $149,887,889 $ 19,796,051 $ 23,003,465
=============== =================== =============== ===================
</TABLE>
<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY
------------------------------------- -------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED
MARCH 31, 1996 FOR THE YEAR ENDED MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------ -------------- ------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income (Loss).................. $ 93,554 $ 220,235 $ (35,223) $ 201,609
Net Realized Gain (Loss) from Investments
and Foreign Currency Transactions........ 520,354 (9,485,483) 706,232 (481,527)
Net Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and
Forward Currency Contracts............... (1,398) (3,176,213) 1,153,832 (821,330)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Operations................................... 612,510 (12,441,461) 1,824,841 (1,101,248)
-------------- ------------------ -------------- ------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............. 14,659,306 18,611,709 21,951,488 12,695,645
Value of Capital Withdrawn................. (13,968,585) (19,878,349) (20,015,964) (12,304,373)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Capital Transactions......................... 690,721 (1,266,640) 1,935,524 391,272
-------------- ------------------ -------------- ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 1,303,231 (13,708,101) 3,760,365 (709,976)
NET ASSETS
Beginning of Period........................... 13,657,915 27,366,016 24,656,298 25,366,274
-------------- ------------------ -------------- ------------------
End of Period................................. $ 14,961,146 $ 13,657,915 $ 28,416,663 $ 24,656,298
=============== =================== =============== ===================
</TABLE>
See Notes to Financial Statements on Pages 48 - 50
44
<PAGE> 6
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE TAX FREE INTERNATIONAL EQUITY
------------------------------------ -------------------------------------
FOR THE THREE FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE PERIOD
MARCH 31, 1996 ENDED MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) DECEMBER 31, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ----------------- -------------- ------------------
<S> <C> <C> <C>
$ 265,277 $ 1,200,250 $ 528,123 $ 1,188,602
263,100 373,137 2,080,926 1,956,124
(717,956) 1,660,679 3,607,992 6,955,471
-------------- ----------------- -------------- ------------------
(189,579) 3,234,066 6,217,041 10,100,197
-------------- ----------------- -------------- ------------------
5,268,772 4,536,602 52,306,802 35,819,720
(4,541,131) (10,844,181) (23,556,138) (18,648,629)
-------------- ----------------- -------------- ------------------
727,641 (6,307,579) 28,750,664 17,171,091
-------------- ----------------- -------------- ------------------
538,062 (3,073,513) 34,967,705 27,271,288
22,252,704 25,326,217 83,313,431 56,042,143
-------------- ----------------- -------------- ------------------
$ 22,790,766 $ 22,252,704 $118,281,136 $ 83,313,431
================= ====================== ================= ======================
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP
-------------------------------------
FOR THE SIX
MONTHS ENDED
MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C>
$ 3,074 $ 114,355
2,392,080 11,205,496
21,647,288 19,127,783
-------------- ------------------
24,042,442 30,447,634
-------------- ------------------
136,769,130 89,963,488
(78,343,080) (17,910,681)
-------------- ------------------
58,426,050 72,052,807
-------------- ------------------
82,468,492 102,500,441
123,827,952 21,327,511
-------------- ------------------
$206,296,444 $123,827,952
=============== ===================
</TABLE>
45
<PAGE> 7
- --------------------------------------------------------------------------------
BT Portfolios
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for each of the Portfolios.
<TABLE>
<CAPTION>
CAPITAL APPRECIATION
-----------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE PERIOD FOR THE YEAR
MARCH 31, 1996 JANUARY 1, 1995 TO ENDED
(UNAUDITED) SEPTEMBER 30, 1995 DECEMBER 31, 1994
-------------- ------------------ -----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $189,427 $149,888 $73,634
Ratios to Average Net Assets
Net Investment Income....................................... (0.00)%+ 0.01%* 0.08%
Expenses.................................................... 0.60%* 0.60%* 0.60%
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.18%* 0.18%* 0.23%
Portfolio Turnover Rate..................................... 193% 125% 157%
<CAPTION>
CAPITAL APPRECIATION
--------------------
FOR THE PERIOD
MARCH 9, 1993
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31,
1993
----------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $ 37,076
Ratios to Average Net Assets
Net Investment Income....................................... 0.38%*
Expenses.................................................... 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.41%*
Portfolio Turnover Rate..................................... 137%
</TABLE>
<TABLE>
<CAPTION>
GLOBAL HIGH YIELD
----------------------------------------------------------
FOR THE PERIOD
DECEMBER 14,
1993
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS) TO
MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30,
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $ 19,796 $ 23,003 $ 14,729
Ratios to Average Net Assets
Net Investment Income....................................... 7.58%* 9.63% 6.44%*
Expenses.................................................... 0.75%* 0.75% 0.75%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................... 0.39%* 0.45% 0.59%*
Portfolio Turnover Rate..................................... 118% 169% 347%
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE TAX FREE
--------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
FOR THE THREE
MONTHS ENDED -------------------------------
MARCH 31, 1996 1995 1994 1993
-------------- ------- ------- -------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $ 22,791 $22,253 $25,326 $31,745
Ratios to Average Net Assets
Net Investment Income....................................... 4.72%* 4.97% 4.58% 4.29%
Expenses.................................................... 0.45%* 0.45% 0.45% 0.45%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................... 0.12%* 0.08% 0.14% 0.18%
Portfolio Turnover Rate..................................... 37% 95% 118% 40%
<CAPTION>
INTERMEDIATE TAX FREE
---------------------
FOR THE PERIOD
JULY 20, 1992
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31,
1992
----------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $9,995
Ratios to Average Net Assets
Net Investment Income....................................... 4.11%*
Expenses.................................................... 0.45%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................... 0.43%*
Portfolio Turnover Rate..................................... 132%
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
-------------------------------------------------------------
FOR THE
FOR THE SIX YEAR ENDED
MONTHS ENDED FOR THE PERIOD DECEMBER 31,
MARCH 31, 1996 JANUARY 1, 1995 TO -------------------
(UNAUDITED) SEPTEMBER 30, 1995 1994 1993
-------------- ------------------ ------- -------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $118,281 $ 83,313 $56,042 $33,907
Ratios to Average Net Assets
Net Investment Income....................................... 1.13%* 2.39%* 1.69% 1.64%
Expenses.................................................... 0.65%* 0.65%* 0.65% 0.65%
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.19%* 0.22%* 0.24% 0.39%
Portfolio Turnover Rate..................................... 30% 21% 15% 17%
<CAPTION>
INTERNATIONAL EQUITY
--------------------
FOR THE PERIOD
AUGUST 4, 1992
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31,
1992
----------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $8,225
Ratios to Average Net Assets
Net Investment Income....................................... 1.87%*
Expenses.................................................... 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.93%*
Portfolio Turnover Rate..................................... 7%
</TABLE>
- ------------------
* Annualized
+ Less than 0.01%
See Notes to Financial Statements on Pages 48 - 50
46
<PAGE> 8
- --------------------------------------------------------------------------------
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
Capital Appreciation Portfolio, Global High Yield Securities Portfolio,
Intermediate Tax Free Portfolio, International Equity Portfolio, Latin American
Equity Portfolio, Pacific Basin Equity Portfolio, and Small Cap Portfolio (each
a "Portfolio", and collectively, the "Portfolios") are registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company. The following portfolios were organized as an
unincorporated trust under the laws of New York and commenced operations as
follows:
<TABLE>
<CAPTION>
ORGANIZATION COMMENCEMENT OF
PORTFOLIO DATE OPERATION
- ------------------------------------------- ------------------- -----------------
<S> <C> <C>
Capital Appreciation Portfolio............. October 28, 1992 March 9, 1993
Global High Yield Securities Portfolio..... August 6, 1993 December 14, 1993
Intermediate Tax Free Portfolio............ December 11, 1991 July 20, 1992
International Equity Portfolio............. December 11, 1991 August 4, 1992
Latin American Equity Portfolio............ August 6, 1993 October 25, 1993
Pacific Basin Equity Portfolio............. August 6, 1993 November 1, 1993
Small Cap Portfolio........................ August 6, 1993 October 21, 1993
</TABLE>
The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolios.
During fiscal year 1996 and 1995, Intermediate Tax Free Portfolio and Capital
Appreciation Portfolio and International Equity Portfolio changed its year-end
to September 30th.
B. Security Valuation
The Portfolios' investments listed or traded on the National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of a
security traded on that exchange prior to the time when the Portfolio assets are
valued. In cases where securities are traded on more than one exchange, the
securities valued on the exchange designated as the primary market by the
Trustees. All other portfolio securities for which over-the-counter market
quotations are readily available including circumstances under which it is
determined by the Investment Manager that sale or bid prices are not reflective
of a security's market value, portfolio securities are valued at their fair
value as determined in good faith under procedures established by and under the
general supervision of the Trustees. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost. Other short-term
debt securities are valued on a mark-to-market basis until such time as they
reach a remaining maturity of 60 days, whereupon they will be valued at
amortized cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld (if any), is recorded on the ex-dividend date or
upon receipt of ex-dividend notification in the case of certain foreign
securities. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.
Each Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisers, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio will require the seller to deposit additional collateral by the
next business day. If the request for additional collateral is not met, or the
seller defaults on its repurchase obligation, the Portfolio maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller.
All of the net investment income and realized and unrealized gains and losses
from the security and foreign currency transactions of the Portfolios are
allocated pro rata among the investors in the Portfolios at the time of such
determination.
D. Foreign Currency Transactions
The books and records of the Portfolios are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions. The Portfolios do not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain and loss
from securities.
E. Forward Foreign Currency Contracts
Global High Yield Securities Portfolio, International Equity Portfolio, Latin
American Equity Portfolio and Pacific Basin Equity Portfolio may enter into
forward foreign currency contracts for the purpose of settling specific
purchases or sales of securities denominated in a foreign currency or with
respect to the Portfolios' investments generally. The net U.S. dollar value of
foreign currency underlying all contractual commitments held by the Portfolios
and the resulting unrealized appreciation or depreciation are determined using
prevailing exchange rates. With respect to forward foreign currency contracts,
losses in excess of amounts recognized in the Statement of Assets and
Liabilities may arise due to changes in the value of the foreign currency or if
the counterparty does not perform under the contract.
F. Option Contracts
Each Portfolio may enter into Option Contracts with the exception of the
Intermediate Tax Free Portfolio. Upon the purchase of a put option or a call
option by a Portfolio, the premium paid is recorded as an investment, the value
of which is marked-to-market daily to reflect the current market value. When a
purchased option expires, the Portfolio will realize a loss in the amount of the
cost of the option. When the Portfolio enters into a closing sale transaction,
the Portfolio will realize a gain or loss depending on whether the sale proceeds
from the closing sale transaction are greater or less than the cost of the
option. When the Portfolio exercises a put option, it realizes a gain or loss
from the sale of the underlying security and the proceeds from such sale will be
decreased by the premium originally paid. When the Portfolio exercises a call
option, the cost of the security which the Portfolio purchases upon exercise
will be increased by the premium originally paid.
48
<PAGE> 9
- --------------------------------------------------------------------------------
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (Continued)
- --------------------------------------------------------------------------------
G. Organizational Expenses
Costs incurred by each of the Portfolios in connections with their organization
and initial registration are being amortized evenly over a five year period.
H. Federal Income Taxes
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
I. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolios have entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of the Portfolio's average daily net
assets. The following provides a table of annual rates and aggregated fees for
each of the Portfolios for the period ended March 31, 1996:
<TABLE>
<CAPTION>
ADMIN. & SERVICES ADMIN. & SERVICES
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- --------------------------------------------- ----------------- -----------------
<S> <C> <C>
Capital Appreciation Portfolio............... .10 of 1% $84,096
Global High Yield Securities Portfolio....... .20 of 1% 20,403
Intermediate Tax Free Portfolio*............. .05 of 1% 2,813
International Equity Portfolio............... .15 of 1% 69,831
Latin American Equity Portfolio.............. .20 of 1% 12,461
Pacific Basin Equity Portfolio............... .25 of 1% 33,454
Small Cap Portfolio.......................... .10 of 1% 78,756
</TABLE>
The Portfolios have entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio's pay Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of the Portfolios' average
daily net assets. The following provides a table of annual rates and aggregated
fees for each of the Portfolios for the period ended March 31, 1996:
<TABLE>
<CAPTION>
ADVISORY ADVISORY
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- ---------------------------------------------------- ----------- ---------------
<S> <C> <C>
Capital Appreciation Portfolio...................... .65 of 1% $ 546,623
Global High Yield Securities Portfolio.............. .80 of 1% 81,613
Intermediate Tax Free Portfolio*.................... .40 of 1% 22,501
International Equity Portfolio...................... .65 of 1% 302,602
Latin American Equity Portfolio..................... 1.00 of 1% 62,306
Pacific Basin Equity Portfolio...................... .75 of 1% 100,363
Small Cap Portfolio................................. .65 of 1% 511,914
</TABLE>
Bankers Trust has entered into a Sub-Advisory Agreement with BT Portfolio
Managers International Limited ("BT Portfolio Managers International"), a wholly
owned subsidiary of Bankers Trust Australia Limited, for Pacific Basin Equity
Portfolio. Under this Sub-Advisory Agreement, BT Portfolio Managers
International receives a fee from Bankers Trust for providing investment advice
and research services, computed daily and paid monthly at an annual rate of .60
of 1% of the Portfolio's average daily net assets.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Portfolio, to the extent necessary, to limit all expenses based upon the average
daily net assets of the Portfolio for the period ended March 31, 1996:
<TABLE>
<CAPTION>
PORTFOLIO ANNUAL RATE EXPENSES REDUCED
- -------------------------------------------------- ----------- ----------------
<S> <C> <C>
Capital Appreciation Portfolio.................... .60 of 1% $148,398
Global High Yield Securities Portfolio............ .75 of 1% 39,885
Intermediate Tax Free Portfolio*.................. .45 of 1% 6,593
International Equity Portfolio.................... .65 of 1% 88,798
Latin American Equity Portfolio................... 1.00 of 1% 27,532
Pacific Basin Equity Portfolio.................... 1.00 of 1% 25,268
Small Cap Portfolio............................... .60 of 1% 135,587
</TABLE>
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Signature Broker-Dealer Services, Inc., the distributor of
the BT Investment Funds. None of the trustees so affiliated received
compensation for services as trustees of the Portfolios. Similarly, none of the
Portfolios' officers received compensation from the Portfolios.
NOTE 3 -- PURCHASE AND SALE OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the period ended March 31, 1996 were as
follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PORTFOLIO PURCHASES SALE OF SECURITIES
- -------------------------------------------------- ------------ ------------------
<S> <C> <C>
Capital Appreciation Portfolio.................... $347,499,684 $300,112,811
Global High Yield Securities Portfolio............ 23,194,948 27,045,156
Intermediate Tax Free Portfolio*.................. 7,484,961 9,737,253
International Equity Portfolio.................... 58,380,801 27,069,480
Latin American Equity Portfolio................... 12,865,023 10,276,354
Pacific Basin Equity Portfolio.................... 16,512,157 13,939,260
Small Cap Portfolio............................... 182,200,296 133,321,553
</TABLE>
For Federal income tax purposes, the tax basis of investments held at March 31,
1996 was $182,110,912 for Capital Appreciation Portfolio, $18,178,725 for Global
High Yield Securities Portfolio, $25,245,528 for Pacific Basin Equity Portfolio
and $163,070,079 Small Cap Portfolio. Tax basis of investments held at March 31,
1996 for Intermediate Tax Free Portfolio, International Equity Portfolio and
Latin American Equity Portfolio, were substantially the same as the basis used
for the financial statement reporting purposes. The aggregate gross unrealized
appreciation and depreciation for all investments as of March 31, 1996 was as
follows:
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
PORTFOLIO APPRECIATION DEPRECIATION
- ----------------------------------------------- ---------------- ----------------
<S> <C> <C>
Capital Appreciation Portfolio................. $ 19,322,136 $3,947,779
Global High Yield Securities Portfolio......... 1,387,578 337,013
Intermediate Tax Free Portfolio*............... 789,508 43,091
International Equity Portfolio................. 18,110,513 2,715,163
Latin American Equity Portfolio................ 812,379 1,205,557
Pacific Basin Equity Portfolio................. 3,057,020 1,510,584
Small Cap Portfolio............................ 46,686,450 2,792,474
</TABLE>
NOTE 4 -- CREDIT RISK
The Global High Yield Securities Portfolio invests in primarily high yield,
non-investment grade debt securities issued in many of the world's securities
markets. Investments in higher yielding securities are accompanied by a greater
degree of credit risk and the risk tends to be more sensitive to economic
conditions than higher rated securities. The risk of loss due to default by the
issuer may be significantly greater for the holders of high yielding securities
because such securities are generally unsecured and are often subordinated to
other creditors of the issuer.
- --------------------------------------------------------------------------------
* The amount represents three months of activity since Intermediate Tax Free
Portfolio changed its year-end to September 30th during the fiscal year of
1996.
49
